Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 5 | 5 | 5 |
| Score | 8.56 | 8.14 | 7.62 |
| Market Cap (Millions USD) | 2942.28 | 2744.49 | 2618.13 |
| Predicted Beta | 2.94 | 2.91 | 2.83 |
| Idiosyncratic Volatility | 2.75 | 2.9 | 2.92 |
Annualized return and volatility
| IXN | |
|---|---|
| Annualized Return | 0.0831 |
| Annualized Std Dev | 0.2204 |
| Annualized Sharpe (Rf=0%) | 0.3768 |
Row
Daily Return Statistics
| IXN | |
|---|---|
| Observations | 4629.0000 |
| NAs | 484.0000 |
| Minimum | -0.0844 |
| Quartile 1 | -0.0055 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0068 |
| Maximum | 0.1123 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0139 |
| Skewness | 0.0640 |
| Kurtosis | 5.3492 |
Downside Risk
| IXN | |
|---|---|
| Semi Deviation | 0.0099 |
| Gain Deviation | 0.0100 |
| Loss Deviation | 0.0106 |
| Downside Deviation (MAR=210%) | 0.0145 |
| Downside Deviation (Rf=0%) | 0.0097 |
| Downside Deviation (0%) | 0.0097 |
| Maximum Drawdown | 0.5567 |
| Historical VaR (95%) | -0.0224 |
| Historical ES (95%) | -0.0335 |
| Modified VaR (95%) | -0.0207 |
| Modified ES (95%) | -0.0309 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2012-03-13 | -0.5567 | 1117 | 348 | 769 |
| 2001-12-07 | 2002-10-09 | 2007-01-04 | -0.5551 | 1299 | 214 | 1085 |
| 2018-08-30 | 2018-12-24 | 2019-04-12 | -0.2364 | 158 | 82 | 76 |
| 2015-12-07 | 2016-02-11 | 2016-07-12 | -0.1487 | 152 | 47 | 105 |
| 2015-05-22 | 2015-08-24 | 2015-11-02 | -0.1463 | 116 | 66 | 50 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IXN | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | 0.0 | NA |
| 2002 | 1.1 | 4.2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 3.8 | 1.3 | 0.0 | 0.0 | 10.8 |
| 2003 | 0.0 | 0.0 | 0.0 | -0.1 | 0.0 | 0.0 | 0.0 | 0.0 | 1.9 | 0.0 | 1.6 | 0.0 | 3.4 |
| 2004 | 0.0 | 0.2 | 1.9 | 0.0 | -0.4 | -1.3 | 0.0 | 0.5 | 2.1 | 0.4 | 1.4 | 0.0 | 4.8 |
| 2005 | 0.7 | 0.3 | -0.2 | 0.0 | 1.0 | 0.2 | 0.0 | 0.0 | 0.0 | -0.1 | 1.7 | 0.0 | 3.7 |
| 2006 | 0.4 | 1.4 | 0.0 | -0.5 | 1.2 | 0.0 | -1.5 | 0.5 | 0.0 | -0.9 | -1.1 | 0.0 | -0.6 |
| 2007 | -0.2 | -0.6 | 0.0 | 0.4 | 0.6 | 0.0 | 1.7 | 0.0 | 0.9 | -1.8 | 0.0 | 0.0 | 0.9 |
| 2008 | 1.8 | 0.0 | 3.2 | 3.1 | 0.0 | -0.1 | 0.0 | 0.0 | -0.4 | 0.0 | -6.2 | 0.0 | 1.2 |
| 2009 | 0.0 | 0.0 | 2.5 | 1.3 | 3.4 | 0.6 | 0.0 | -1.5 | -2.6 | 0.0 | 1.9 | 0.0 | 5.5 |
| 2010 | 0.8 | 1.2 | 0.6 | 0.0 | -1.1 | -0.1 | 0.0 | 2.8 | 0.2 | 0.0 | 2.3 | 0.0 | 7.0 |
| 2011 | 1.8 | -1.5 | -0.1 | 0.0 | -2.1 | 1.5 | -0.3 | -0.8 | 0.0 | -2.7 | 0.2 | 0.0 | -4.0 |
| 2012 | 1.0 | 0.3 | 0.0 | 0.2 | -2.9 | 0.0 | -0.4 | 0.0 | -0.1 | 0.9 | 0.0 | 0.0 | -1.0 |
| 2013 | 0.9 | 0.0 | -0.9 | -0.8 | 0.0 | 0.9 | 0.9 | 0.0 | 1.0 | 0.1 | 0.0 | 0.0 | 1.9 |
| 2014 | 0.0 | 0.0 | 1.2 | -0.2 | 0.0 | 1.1 | -0.7 | 0.0 | -1.8 | 0.0 | -0.8 | 0.0 | -1.2 |
| 2015 | 0.0 | 0.0 | -0.4 | 1.1 | 0.0 | 0.8 | 0.0 | -3.2 | 0.1 | 0.0 | 1.1 | 0.0 | -0.5 |
| 2016 | 0.2 | 2.8 | 0.4 | 0.0 | -0.1 | 0.2 | 0.2 | 0.3 | 0.0 | -0.7 | -2.4 | 0.0 | 0.8 |
| 2017 | 0.6 | 1.4 | 0.0 | 0.8 | 0.3 | 0.0 | 0.4 | 0.1 | 0.0 | 0.4 | -0.6 | 0.0 | 3.4 |
| 2018 | -0.1 | -1.8 | 0.0 | 1.0 | 1.8 | 0.0 | 0.8 | 0.0 | 0.7 | 1.3 | 0.0 | 0.0 | 3.6 |
| 2019 | 0.5 | 0.9 | 1.3 | -0.2 | 0.0 | 1.5 | -0.4 | 0.0 | -0.8 | 1.5 | 0.0 | 0.2 | 4.5 |
Row
Rolling Performance Chart
Snail Trail Chart
